Step one: Complete all main quests until killing Mirmulnir, then return to Whiterun and become Thane.
Step two: Ignore Lydia.
Step three: Collect one black soul gem / black star.
Step four: Learn soul trap.
Step five: Find and soul trap Nazeem
Step Six: Brutally murder Nazeem.
Step seven: When guards show up put away weapons and exert your royal power.
Step eight: Celebrate Nazeem's arrival in the soul cairn!